DERIVATIVES (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative notionals

Information pertaining to Citigroup’s derivatives activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete measure of Citi’s exposure to derivative transactions. Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk.

In addition, aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.

Derivative Notionals

	Hedging instruments under ASC 815				Trading derivative instruments
In millions of dollars	September 30, 2020		December 31, 2019		September 30, 2020		December 31, 2019
Interest rate contracts
Swaps	$	347,587	$	318,089	$	17,709,922	$	17,063,272
Futures and forwards	—		—		4,894,587		3,636,658
Written options	—		—		1,590,805		2,114,511
Purchased options	—		—		1,428,928		1,857,770
Total interest rate contracts	$	347,587	$	318,089	$	25,624,242	$	24,672,211
Foreign exchange contracts
Swaps	$	64,986	$	63,104	$	6,104,059	$	6,063,853
Futures, forwards and spot	34,616		38,275		4,275,082		3,979,188
Written options	753		80		981,562		908,061
Purchased options	766		80		981,998		959,149
Total foreign exchange contracts	$	101,121	$	101,539	$	12,342,701	$	11,910,251
Equity contracts
Swaps	$	—	$	—	$	237,127	$	197,893
Futures and forwards	—		—		67,470		66,705
Written options	—		—		525,911		560,571
Purchased options	—		—		393,130		422,393
Total equity contracts	$	—	$	—	$	1,223,638	$	1,247,562
Commodity and other contracts
Swaps	$	—	$	—	$	79,079	$	69,445
Futures and forwards	784		1,195		163,925		137,192
Written options	—		—		95,573		91,587
Purchased options	—		—		93,328		86,631
Total commodity and other contracts	$	784	$	1,195	$	431,905	$	384,855
Credit derivatives(1)
Protection sold	$	—	$	—	$	621,099	$	603,387
Protection purchased	—		—		699,908		703,926
Total credit derivatives	$	—	$	—	$	1,321,007	$	1,307,313
Total derivative notionals	$	449,492	$	420,823	$	40,943,493	$	39,522,192

(1)Credit derivatives are arrangements designed to allow one party (protection purchaser) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.

Derivative mark-to-market (MTM) receivables/payables

The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of September 30, 2020 and December 31, 2019. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.

In addition, the following tables reflect rule changes adopted by clearing organizations that require or allow entities to treat certain derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as opposed to presenting gross derivative assets and liabilities that are subject to collateral, whereby the counterparties would also record a related collateral payable or receivable. As a result, the tables reflect a reduction of approximately $270 billion and $180 billion as of September 30, 2020 and December 31, 2019, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now legally settled and not subject to collateral. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.

Derivative Mark-to-Market (MTM) Receivables/Payables

In millions of dollars at September 30, 2020	Derivatives classified in Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedges	Assets		Liabilities
Over-the-counter	$	1,755	$	110
Cleared	—		327
Interest rate contracts	$	1,755	$	437
Over-the-counter	$	1,307	$	1,167
Cleared	—		—
Foreign exchange contracts	$	1,307	$	1,167
Total derivatives instruments designated as ASC 815 hedges	$	3,062	$	1,604
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	235,886	$	217,733
Cleared	13,487		10,979
Exchange traded	39		32
Interest rate contracts	$	249,412	$	228,744
Over-the-counter	$	108,487	$	109,809
Cleared	553		819
Exchange traded	4		5
Foreign exchange contracts	$	109,044	$	110,633
Over-the-counter	$	18,281	$	28,181
Cleared	5		2
Exchange traded	23,506		24,416
Equity contracts	$	41,792	$	52,599
Over-the-counter	$	13,987	$	17,880
Exchange traded	1,010		1,145
Commodity and other contracts	$	14,997	$	19,025
Over-the-counter	$	9,469	$	9,685
Cleared	1,415		1,809
Credit derivatives	$	10,884	$	11,494
Total derivatives instruments not designated as ASC 815 hedges	$	426,129	$	422,495
Total derivatives	$	429,191	$	424,099
Cash collateral paid/received(3)	$	23,159	$	17,054
Less: Netting agreements(4)	(330,993)		(330,993)
Less: Netting cash collateral received/paid(5)	(54,089)		(53,126)
Net receivables/payables included on the Consolidated Balance Sheet(6)	$	67,268	$	57,034
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(901)	$	(305)
Less: Non-cash collateral received/paid	(9,778)		(13,835)
Total net receivables/payables(6)	$	56,589	$	42,894

(1)The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.

(2)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.

(3)Reflects the net amount of the $76,285 million and $71,143 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,126 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $54,089 million was used to offset trading derivative assets.

(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $299 billion, $10 billion and $22 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.

(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.

(6)The net receivables/payables include approximately $5 billion of derivative asset and $6 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

In millions of dollars at December 31, 2019	Derivatives classified in Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedges	Assets		Liabilities
Over-the-counter	$	1,682	$	143
Cleared	41		111
Interest rate contracts	$	1,723	$	254
Over-the-counter	$	1,304	$	908
Cleared	—		2
Foreign exchange contracts	$	1,304	$	910
Total derivatives instruments designated as ASC 815 hedges	$	3,027	$	1,164
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	189,892	$	169,749
Cleared	5,896		7,472
Exchange traded	157		180
Interest rate contracts	$	195,945	$	177,401
Over-the-counter	$	105,401	$	108,807
Cleared	862		1,015
Exchange traded	3		—
Foreign exchange contracts	$	106,266	$	109,822
Over-the-counter	$	21,311	$	22,411
Exchange traded	7,160		8,075
Equity contracts	$	28,471	$	30,486
Over-the-counter	$	13,582	$	16,773
Exchange traded	630		542
Commodity and other contracts	$	14,212	$	17,315
Over-the-counter	$	8,896	$	8,975
Cleared	1,513		1,763
Credit derivatives	$	10,409	$	10,738
Total derivatives instruments not designated as ASC 815 hedges	$	355,303	$	345,762
Total derivatives	$	358,330	$	346,926
Cash collateral paid/received(3)	$	17,926	$	14,391
Less: Netting agreements(4)	(274,970)		(274,970)
Less: Netting cash collateral received/paid(5)	(44,353)		(38,919)
Net receivables/payables included on the Consolidated Balance Sheet(6)	$	56,933	$	47,428
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(861)	$	(128)
Less: Non-cash collateral received/paid	(13,143)		(7,308)
Total net receivables/payables(6)	$	42,929	$	39,992

(1)The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.

(2)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.

(3)Reflects the net amount of the $56,845 million and $58,744 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $38,919 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $44,353 million was used to offset trading derivative assets.

(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $262 billion, $6 billion and $7 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.

(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.

(6)The net receivables/payables include approximately $7 billion of derivative asset and $6 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

Schedule of gains (losses) on derivatives not designated in a qualifying hedging relationship recognized in Other revenue and gains (losses) on fair value hedges

The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains (losses) on the economically hedged items to the extent that such amounts are also recorded in Other revenue.

	Gains (losses) included in Other revenue
	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2020		2019		2020		2019
Interest rate contracts	$	(3)	$	14	$	171	$	76
Foreign exchange	19		22		(18)		35
Total	$	16	$	36	$	153	$	111

The following table summarizes the gains (losses) on the Company’s fair value hedges:

	Gains (losses) on fair value hedges(1)
	Three Months Ended September 30,								Nine Months Ended September 30,
	2020				2019				2020				2019
In millions of dollars	Other revenue		Net interest revenue		Other revenue		Net interest revenue		Other revenue		Net interest revenue		Other revenue		Net interest revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	(1,121)	$	—	$	1,363	$	—	$	5,965	$	—	$	4,179
Foreign exchange hedges	1,235		—		(1,180)		—		(242)		—		(1,192)		—
Commodity hedges	(3)		—		60		—		(94)		—		(42)		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	1,232	$	(1,121)	$	(1,120)	$	1,363	$	(336)	$	5,965	$	(1,234)	$	4,179
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	955	$	—	$	(1,320)	$	—	$	(6,173)	$	—	$	(3,982)
Foreign exchange hedges	(1,235)		—		1,180		—		242		—		1,192		—
Commodity hedges	3		—		60		—		94		—		42		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(1,232)	$	955	$	1,240	$	(1,320)	$	336	$	(6,173)	$	1,234	$	(3,982)
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	—	$	—	$	(4)	$	—	$	(23)	$	—	$	(8)
Foreign exchange hedges(2)	(24)		—		25		—		(65)		—		(96)		—
Commodity hedges	91		—		11		—		81		—		34		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	67	$	—	$	36	$	(4)	$	16	$	(23)	$	(62)	$	(8)

(1)Gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.

(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis that was included in AOCI was $(51) million and $(2) million for the three and nine months ended September 30, 2020 and $(10) million and $73 million for the three and nine months ended September 30, 2019, respectively.

Schedule of amounts recorded on the Balance Sheet related to cumulative basis adjustments for fair value hedges

The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at September 30, 2020 and December 31, 2019, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities, that would reverse through earnings in future periods.

In millions of dollars
Balance sheet line item in which hedged item is recorded	Carrying amount of hedged asset/ liability		Cumulative fair value hedging adjustment increasing (decreasing) the carrying amount
			Active		De-designated
As of September 30, 2020
Debt securities AFS(1)(3)	$	99,152	$	22	$	385
Long-term debt	170,069		7,811		4,197
As of December 31, 2019
Debt securities AFS(2)(3)	$	94,659	$	(114)	$	743
Long-term debt	157,387		2,334		3,445

(1)These amounts include a cumulative basis adjustment of $7 million for active hedges and $74 million for de-designated hedges as of September 30, 2020 related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $1,768 million as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $20 billion as of September 30, 2020) in a last-of-layer hedging relationship.

(2)These amounts include a cumulative basis adjustment of $(8) million for active hedges and $157 million for de-designated hedges as of December 31, 2019 related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $605 million as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $20 billion as of December 31, 2019) in a last-of-layer hedging relationship.

(3)Carrying amount represents the amortized cost.

Schedule of pretax change in accumulated other comprehensive income (loss) from cash flow hedges

The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17 to the Consolidated Financial Statements.

	Three Months Ended September 30,								Nine Months Ended September 30,
In millions of dollars	2020				2019				2020				2019
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	(52)			$	241			$	2,739			$	1,040
Foreign exchange contracts	—				(6)				(16)				(15)
Total gain (loss) recognized in AOCI	$	(52)			$	235			$	2,723			$	1,025
Amount of gain (loss) reclassified from AOCI to earnings(1)	Other revenue		Net interest revenue		Other revenue		Net interest revenue		Other revenue		Net interest revenue		Other revenue		Net interest revenue
Interest rate contracts	$	—	$	256	$	—	$	(96)	$	—	$	459	$	—	$	(360)
Foreign exchange contracts	(1)		—		(2)		—		(3)		—		(6)		—
Total gain (loss) reclassified from AOCI into earnings	$	(1)	$	256	$	(2)	$	(96)	$	(3)	$	459	$	(6)	$	(360)
Net pretax change in cash flow hedges included within AOCI			$	(307)			$	333			$	2,267			$	1,391

(1)All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenue in the Consolidated Statement of Income.

Schedule of key characteristics of credit derivative portfolio

The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:

	Fair values				Notionals
In millions of dollars at September 30, 2020	Receivable(1)		Payable(2)		Protection purchased		Protection sold
By industry of counterparty
Banks	$	3,447	$	3,624	$	144,438	$	150,070
Broker-dealers	2,186		1,457		52,326		48,749
Non-financial	117		102		4,615		2,423
Insurance and other financial institutions	5,134		6,311		498,529		419,857
Total by industry of counterparty	$	10,884	$	11,494	$	699,908	$	621,099
By instrument
Credit default swaps and options	$	10,388	$	10,272	$	687,113	$	616,677
Total return swaps and other	496		1,222		12,795		4,422
Total by instrument	$	10,884	$	11,494	$	699,908	$	621,099
By rating of reference entity
Investment grade	$	4,116	$	3,960	$	551,117	$	479,872
Non-investment grade	6,768		7,534		148,791		141,227
Total by rating of reference entity	$	10,884	$	11,494	$	699,908	$	621,099
By maturity
Within 1 year	$	901	$	1,785	$	171,025	$	147,613
From 1 to 5 years	6,145		6,134		435,061		397,139
After 5 years	3,838		3,575		93,822		76,347
Total by maturity	$	10,884	$	11,494	$	699,908	$	621,099

(1)The fair value amount receivable is composed of $6,158 million under protection purchased and $4,726 million under protection sold.

(2)The fair value amount payable is composed of $5,655 million under protection purchased and $5,839 million under protection sold.

	Fair values				Notionals
In millions of dollars at December 31, 2019	Receivable(1)		Payable(2)		Protection purchased		Protection sold
By industry of counterparty
Banks	$	4,017	$	4,102	$	172,461	$	169,546
Broker-dealers	1,724		1,528		54,843		53,846
Non-financial	92		76		2,601		1,968
Insurance and other financial institutions	4,576		5,032		474,021		378,027
Total by industry of counterparty	$	10,409	$	10,738	$	703,926	$	603,387
By instrument
Credit default swaps and options	$	9,759	$	9,791	$	685,643	$	593,850
Total return swaps and other	650		947		18,283		9,537
Total by instrument	$	10,409	$	10,738	$	703,926	$	603,387
By rating of reference entity
Investment grade	$	4,579	$	4,578	$	560,806	$	470,778
Non-investment grade	5,830		6,160		143,120		132,609
Total by rating of reference entity	$	10,409	$	10,738	$	703,926	$	603,387
By maturity
Within 1 year	$	1,806	$	2,181	$	231,135	$	176,188
From 1 to 5 years	7,275		7,265		414,237		379,915
After 5 years	1,328		1,292		58,554		47,284
Total by maturity	$	10,409	$	10,738	$	703,926	$	603,387

(1)    The fair value amount receivable is composed of $3,415 million under protection purchased and $6,994 million under protection sold.

(2)    The fair value amount payable is composed of $7,793 million under protection purchased and $2,945 million under protection sold.